方法对比
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| ARFIMA：分数阶积分自回归滑动平均模型× | 面板数据固定效应模型× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1980 | 2014 |
| 提出者≠ | Granger & Joyeux (1980); Hosking (1981) | Hsiao (textbook treatment); within transformation of panel data |
| 类型≠ | Long-memory time series model | Panel data regression |
| 开创性文献≠ | Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15–29. DOI ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| 别名≠ | fractionally integrated ARMA, long-memory time series model, ARFIMA / FIGARCH, fractional differencing model | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| 相关 | 5 | 5 |
| 摘要≠ | ARFIMA is a time series model that captures long-memory behaviour using a fractional differencing parameter d, generalising the integer differencing of ARIMA. It was introduced by Granger and Joyeux (1980) and formalised by Hosking (1981) to describe series whose autocorrelations decay slowly rather than abruptly. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
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